How to avoid k-line spikes

zhou

I have a tricky question to ask you, for ODDSALCOND in the pre-market and post-market we did not do rejection treatment, occasionally spikes will appear, such as shown in the figure, and we received data from Reuters as:

timestamp : 1609249647286, utcDate: 2020-12-29T13:47:27.286+0000
@{"respType":"TRADE","symbol":"SPY","msgType":"MsgType.UPDATE_RESP","ACVOL_PRE":"61101","indicationFlags":"DO_NOT_CONFLATE","PRC_QL2":"147","NA_MSG_TYP":"T","NCHNG_PRE":"0.0000","ODD_TRDID":"0000A00IR7","_src":"TR","ODDTIM_MS":"13:47:27:259","secType":"[1]","tickerType":"3","ric":"SPY.NB","tid":12205858,"ODD_TRDVOL":"95","ODD_PRC":"372.1700","NUM_MOVES":"504","ODD_VOLUME":"5700","exchangeCode":"PSE","RETRAN_IND":"1","dataType":"NORMAL","ACVOL_1":"187023","etlTime":"2020-12-29T13:47:27.286+0000","exchangeId":"34","PCHNG_PRE":"0.00","realTimeType":"R","regionId":"6","ODDSALCOND":"@ To","ODD_EXID":"1354","gtid":"SPY12205858","etlTs":1609249647286,"tickerId":"913243251","ACVOL_UNS":"187023","PRC_QL_CD":"167"}

If now we want to exclude odd stocks with too much price deviation but not reasonably priced odd stocks, what is your best solution to this problem?

@zhouhao

Gurpreet

Hi @zhou

Since your application is receiving all the trades, any filtering you deem necessary, would have to be done within your application logic. We are unable to suggest any particular filtering algorithm, but maybe you would like to start by omitting a trade where price is significantly different from the moving average or VWAP.